I was wondering why you thought a butterfly was better when the upper callspread was only $1. I like the idea. I bought the August 30 calls.

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Two factors in opposition. The convergence and a likely quick-drop in the vol-line if we muster any counter-trend rally in SPX. There is more to it, but I have a forecast of 37 on spot at expiration, so felt confident in the fly, even on the flip in delta made palatable by the 900bp discount.

I would be very careful in calls here. You may want to vert or fly it off.

I saw the calls as a cheap hedge to my upside SPX call delta that I am long. I figure that if we sell off to 1000 from here, I will lose about 3% on my calls less spot-vol correlation effects and these calls should triple in value. This is roughly equal.

If we rip and VIX settles below 30 I will lose the calls, but make 3%+ on my call delta less the spot-vol correlation and gamma. The 3% is higher than the amount I spent on the VIX options.

If we muddle along for the next few days, the calls will "drift" to something (hopefully 40+) and my SPX calls will do nothing.

So it seems like a good hedge for the next few days.

Why specifically the 30 line (it was more or less random and because you suggested it)

edit - clarification points: I paid in premium for the VIX options about 1% of my delta. In the downside scenario I figured the VIX would go to 50 (which is a number I honestly made up).